Generate mesh at run time
The comment by Chebhou is almost correct... One thing that may not be clear, is that you can import bpy into bge scripts (many sources say this is not something you should do, but I have experienced no harm in using it during development, however, you can only use it in Blender - it will not work when you build/compile your final game). Thusly you can use the examples on the wiki page they linked to get started in generating meshes procedurally for your game, within Blender during development.

Unfortunately, there appears to be no way currently (as of version 2.78a) to construct a mesh from scratch during runtime of your game.

A couple of potentially useful rabbit holes, to show there may still be hope (will update this answer as/when I discover more):


Generate, or "hack" a .blend file with your mesh data, and feed it to the dynamic loading system. This is all open source, so the specification should be readily available (or possible to glean from the source code).
Alternative builds of Blender, which rumor suggests some are available with this functionality out of the box
Modify Blender yourself...again: open source!
Here is a nice thread about using BGL in BGE: https://blenderartists.org/forum/showthread.php?301350-BGL-in-Blender-Game-Engine this appears to be the most promising approach and here is thoe documentation for BGL: https://docs.blender.org/api/blender_python_api_2_60_4/bgl.html